Getting Started With Algo Trading

godziwa · Sep 9, 2020

Hi guys,
Couldn't really find the answers I was looking for on this forum. But after doing a ton of research I found that I can learn algorithmic trading by learning python and using ninjatrader to test my algo's.

Most of the resources I checked did a bad job of explaining things. I've watched basics on youtube but I was wondering if there were any courses that'll get me up and running testing my own algo's.

ValeryN · Sep 9, 2020

Too little information on what exactly you are trying to test.

In general - look into AmiBroker. It is one of the fastest / flexible backtesting platforms.
You will need data. Yahoo is commonly used as it's free. Very limited intraday. Mostly for EOD prices but quality is questionable.

Norgate is one of the best vendors for stocks EOD data.
IQFeed is commonly used for intraday. Decent quality considering price.
Nanex Core is probably the best TICK data, but far too expensive for most retail traders.

All depends on what you need. In general - the higher quality the higher the cost, the lower resolution - the higher the cost.

For trading execution you will likely need to write your own or use another software. Best backtesting platforms mostly don't touch executions. There is a way to auto-trade from AB but it won't be very reliable. I hear many people use NinjaTrader.

Val

Tradex · Sep 9, 2020

godziwa said:
But after doing a ton of research I found that I can learn algorithmic trading by learning python and using ninjatrader to test my algo's.

Quick shortcut : backtest 50 trades manually, directly from the charts. If the results are not good (and they stink most of the time, believe me) forget it , no need to go any further, find yourself another trading system.

godziwa · Sep 9, 2020

ValeryN said:
Too little information on what exactly you are trying to test.

In general - look into AmiBroker. It is one of the fastest / flexible backtesting platforms.
You will need data. Yahoo is commonly used as it's free. Very limited intraday. Mostly for EOD prices but quality is questionable.

Norgate is one of the best vendors for stocks EOD data.
IQFeed is commonly used for intraday. Decent quality considering price.
Nanex Core is probably the best TICK data, but far too expensive for most retail traders.

All depends on what you need. In general - the higher quality the higher the cost, the lower resolution - the higher the cost.

For trading execution you will likely need to write your own or use another software. Best backtesting platforms mostly don't touch executions. There is a way to auto-trade from AB but it won't be very reliable. I hear many people use NinjaTrader.

Val

Very helpful post. I'll look into those resources. I don't fully understand algotrading yet - currently doing my best to learn more so I can ask more intelligent questions. In a nutshell, I'm a newbie and I want to learn how to program something to make trade executions for me.

So far I found that I can learn python programming to automate my trading. I was hoping to get suggestions on courses/resources to take to better understand this.

godziwa · Sep 9, 2020

Tradex said:
Quick shortcut : backtest 50 trades manually, directly from the charts. If the results are not good (and they stink most of the time, believe me) forget it , no need to go any further, find yourself another trading system.

I manually test a lot of strategies but I want to learn more skills to take it to the next level. Basically have a computer program backtest for me and then trade for me live. (if that's even possible).

Tradex · Sep 9, 2020

godziwa said:
So far I found that I can learn python programming

I don't want to discourage you but learning how to program in C++, Java, C# or Python is not easy, trust me on this one!

It requires months of hard studies and practice, even if you have your own professor at home.

And then you will have to program your own trading system and make sure the algo is correct, another big challenge.

godziwa · Sep 9, 2020

Tradex said:
I don't want to discourage you but learning how to program in C++, Java, C# or Python is not easy, trust me on this one!

It requires months of hard studies and practice, even if you have your own professor at home.

And then you will have to program your own trading system and make sure the algo is correct, another big challenge.

I'm extremely patient and decently young. So this is a very long term goal, and no regrets when I finally learn it and it becomes outdated. I already have another business making me money so I have like all day to learn it. I'm already learning python right now with a mentor but not finance-focused.

Difficult things don't scare me at all. Not looking for any short term stuff here

trend2009 · Sep 9, 2020

ValeryN said:
Too little information on what exactly you are trying to test.

In general - look into AmiBroker. It is one of the fastest / flexible backtesting platforms.
You will need data. Yahoo is commonly used as it's free. Very limited intraday. Mostly for EOD prices but quality is questionable.

Norgate is one of the best vendors for stocks EOD data.
IQFeed is commonly used for intraday. Decent quality considering price.
Nanex Core is probably the best TICK data, but far too expensive for most retail traders.

All depends on what you need. In general - the higher quality the higher the cost, the lower resolution - the higher the cost.

For trading execution you will likely need to write your own or use another software. Best backtesting platforms mostly don't touch executions. There is a way to auto-trade from AB but it won't be very reliable. I hear many people use NinjaTrader.

Val

what does amibroker provide given my background is a programmer and I write my own software to output entry and exit signals?

ValeryN · Sep 9, 2020

trend2009 said:
what does amibroker provide given my background is a programmer and I write my own software to output entry and exit signals?

Backtesting engine. I wrote one myself, and can confidently say - not again.
Lookup their AFL language and strategies examples. It should help to get an idea which things you would not need to be coding yourself if you use it.

I will oversimplify, but writing a strategy in Admibroker can look like

Cond1 = Close > MA( Close, 3 );
Cond2 = Volume > Ref( Volume, -1 );
Buy = Cond1 AND Cond2;
Sell = High > 1.30;

The rest is all done by AB. Including data loading, calculations, multi-threading, reports etc.

Val

ph1l · Sep 9, 2020

godziwa said:
Hi guys,
Couldn't really find the answers I was looking for on this forum. But after doing a ton of research I found that I can learn algorithmic trading by learning python and using ninjatrader to test my algo's.

Most of the resources I checked did a bad job of explaining things. I've watched basics on youtube but I was wondering if there were any courses that'll get me up and running testing my own algo's.

https://www.quantopian.com/home

Become an Expert in Quant Finance
Quantopian provides free education, data, and tools so anyone can pursue quantitative finance.

Quantopian doesn't support live trading anymore, but there are workarounds like
https://www.quantopian.com/posts/live-trading-4

Peter Bakker
Feb 13, 2019
There is a version of the quantopian backend, zipline, to trade live again Interactive brokers. There are now 2 versions: one based on an older version of zipline zipline live and one based on the latest version of zipline ( [ https://github.com/shlomikushchi/zipline/releases ][2] ) supporting most stuff except things that Quantopian has not released like the optimiser and the Quniverses. The latter one even has enhancements like stop and start callbacks and such. Personally I would only trade with the latter one as the former one has some omissions like not being able to receive index data properly (VIX, SPX etc). I trade several algo's live with the enhanced version.